系統識別號 | U0002-1007202022190500 |
---|---|
DOI | 10.6846/TKU.2020.00247 |
論文名稱(中文) | 不動產市場與股票市場相關性研究-以臺灣、香港為例 |
論文名稱(英文) | Research on the Correlation between Real Estate Market and Stock Market-Evidence of Taiwan and Hong Kong |
第三語言論文名稱 | |
校院名稱 | 淡江大學 |
系所名稱(中文) | 財務金融學系碩士在職專班 |
系所名稱(英文) | Department of Banking and Finance |
外國學位學校名稱 | |
外國學位學院名稱 | |
外國學位研究所名稱 | |
學年度 | 108 |
學期 | 2 |
出版年 | 109 |
研究生(中文) | 謝承希 |
研究生(英文) | Cheng-Hsi Hsieh |
學號 | 707530043 |
學位類別 | 碩士 |
語言別 | 繁體中文 |
第二語言別 | |
口試日期 | 2020-06-28 |
論文頁數 | 59頁 |
口試委員 |
指導教授
-
聶建中
委員 - 聶建中 委員 - 謝明瑞 委員 - 莊孟翰 |
關鍵字(中) |
房屋價格 股票價格 門檻共整合模型 門檻誤差修正模型 |
關鍵字(英) |
House Price Stock Price Threshold Cointegration Threshold Error Correction Model |
第三語言關鍵字 | |
學科別分類 | |
中文摘要 |
本文就2009年01月至2019年11月,共計131個月期間,臺灣房屋價格指數、臺灣加權股價指數、香港房屋價格指數與香港恆生股價指數為研究標的,透過非線性門檻誤差修正模型架構,各別就臺灣房屋價格指數及臺灣加權股價指數、香港房屋價格指數及香港恆生股價指數其相互間非線性長、短期因果關係進行探討。於研究方法上,除了使用傳統的線性PP、KPSS與NP單根檢定來測試是否為定態變數,亦透過Kapetanios et al.(2003) KSS的非線性單根檢定檢驗資料的非線性定態關係,再使用Enders and Granger(1998)門檻自我迴歸模型(TAR)和動差門檻自我迴歸模型(M-TAR)進行門檻共整合檢定,再藉由更進階的Enders and Granger(1998)以及Enders and Siklos(2001)門檻誤差修正模型(TECM)來捕捉臺灣房屋價格指數及臺灣加權股價指數、香港房屋價格指數和香港恆生股價指數之長、短期非線性不對稱效果。 從實證結果發現,在線性PP與 NP單根檢定法,檢測出臺灣、香港的房市和股市資料皆是I(1)數列。而在KPSS單根檢定法,除了臺灣房屋價格指數,仍然為非定態的時間序列資料,其餘檢定結果均屬I(1)數列。至於對非線性KSS的檢定結果,除了臺灣加權股價指數和香港房屋價格指數仍然無法顯著拒絕非定態之虛無假設,其餘變數皆呈現非線性定態現象,以I(1)表示。最後,對長、短期因果關係的檢定由誤差修正模型可發現,在臺灣或是香港,不論是房價正在上漲(高於門檻值),亦或是房價較為低迷(低於門檻值)之時,房價對股價存在著正向的單向因果關係,房市似乎是股市的領先指標。 |
英文摘要 |
The paper employs the newly threshold error-correction model (TECM) elaborated by Enders and Granger and Enders and Siklos to investigate the nonlinear causal relationship between four index(Taiwan real estate index ,Taiwan weighted stock Index, Hong Kong real estate index and Hong Kong Hang Seng stock price index) from 2009 to 2019. In addition to using traditional linear single root tests (PP, KPSS and NP )to test whether the variables are stationary, the research method also uses Kapetanios et al. (2003) KSS nonlinear single root tests to examine the nonlinear stationary state of data. The empirical evidence suggests that there is a short-term causal relationship between the stock market and the real estate market. Further findings of TECM Granger-Causality tests show that whether in Taiwan or Hong Kong, a long-term equilibrium asymmetric co-integration relationship exists between the stock market and the real estate market. |
第三語言摘要 | |
論文目次 |
目錄 第一章、緒論 1 第一節、研究背景與動機 1 第二節、研究目的 2 第三節、研究架構與研究流程 5 第二章、文獻回顧 7 第一節、對歐、美國家不動產市場與股票市場相關性研究 7 第二節、對亞洲國家不動產市場與股票市場相關性研究 8 第三章、研究方法 12 第一節、單根檢定 13 第二節、門檻共整合檢定 21 第三節、門檻誤差修正模型與 Granger Causality關係 25 第四章、實證結果與分析 28 第一節、資料來源與變數選取 28 第二節、單根檢定 34 第三節、門檻共整合檢定 38 第四節、門檻誤差修正模型與 Granger Causality關係 43 第五章、結論 53 參考文獻 56 表目錄 表4.1.1 變數之敘述統計 30 表4.2.1 PP單根檢定 34 表4.2.2 NP單根檢定 35 表4.2.3 KPSS單根檢定 36 表4.2.4 KSS 單根檢定 37 表4.3.1 臺灣房屋價格指數與臺灣加權股價指數模型非線性共整合測試 39 表4.3.2 香港房屋價格指數與和香港恆生股價指數模型非線性共整合測試 41 表4.4.1 臺灣加權股價指數與臺灣房屋價格指數門檻誤差修正模型估計 47 表4.4.2 香港恆生股價指數與和香港房屋價格指數門檻誤差修正模型估計 51 表4.4.4 門檻誤差修正模型綜合比較 52 圖目錄 圖1.3.1 研究流程架構圖 6 圖4.1.1 臺灣房屋價格指數之時間趨勢圖 31 圖4.1.2 臺灣加權股價指數之時間趨勢圖 32 圖4.1.3 香港房屋價格指數之時間趨勢圖 32 圖4.1.4 香港恆生股價指數之時間趨勢圖 33 |
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